ANNEX I - Parameters to be considered in the self-assessments of the trading venues, as referred to in Article 2(1)
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(a)
Nature of the trading venue, in terms of:
(i)
types and regulatory status of the instruments traded on the venue such as whether the trading venue trades liquid instruments subject to mandatory trading;
(ii)
the role of the trading venue in the financial system such as whether the financial instruments traded on it can be traded elsewhere.
(b)
Scale, in terms of potential impact of the trading venue on the fair and orderly functioning of the markets based on at least the following elements:
(i)
the number of algorithms operating on the venue;
(ii)
the messaging volume capacities of the venue;
(iii)
the volume of trading executed on the venue;
(iv)
the percentage of algorithmic trading over the total trading activity and the total turnover traded on the venue;
(v)
the percentage of high-frequency trading (HFT) activity over the total trading activity and the total amount traded on the venue;
(vi)
the number of its members and participants;
(vii)
the number of its members providing DEA including, where applicable, the specific number of its members providing for sponsored access and the conditions under which DEA is offered or can be delegated;
(viii)
the ratio of unexecuted orders to transactions as observed and determined pursuant to Commission Delegated Regulation (EU) 2017/566
;
(ix)
the number and percentage of remote members;
(x)
the number of co-location or proximity hosting sites provided;
(xi)
the number of countries and regions in which the trading venue is undertaking business activity;
(xii)
the operating conditions for mechanisms to manage volatility and whether dynamic or static trading limits are used to trigger trading halts or rejection of orders.
(c)
Complexity, in terms of:
(i)
the classes of financial instruments traded on the trading venue;
(ii)
the trading models available in the trading venue including the different trading models operating at the same time such as auction, continuous auction and hybrid systems;
(iii)
the use of pre-trade transparency waivers in combination with the trading models operated;
(iv)
the diversity of trading systems employed by the venue and the extent of the control by the trading venue over setting, adjusting, testing, and reviewing its trading systems;
(v)
the structure of the trading venue in terms of ownership and governance and its organisational, operational, technical, physical, and geographical set-up;
(vi)
the various locations of the connectivity and technology of the trading venue;
(vii)
the diversity of the physical trading infrastructure of the trading venue;
(viii)
the level of outsourcing of the trading venue and in particular where any operational functions have been outsourced;
(ix)
the frequency of changes to trading models, IT systems and membership of the trading venue.
Commission Delegated Regulation (EU) 2017/566 of 18 May 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards for the ratio of unexecuted orders to transactions in order to prevent disorderly trading conditions (see page 84 of this Official Journal).# Table 1 in anx_1
| (a) | Nature of the trading venue, in terms of:(i)types and regulatory status of the instruments traded on the venue such as whether the trading venue trades liquid instruments subject to mandatory trading;(ii)the role of the trading venue in the financial system such as whether the financial instruments traded on it can be traded elsewhere. | (i) | types and regulatory status of the instruments traded on the venue such as whether the trading venue trades liquid instruments subject to mandatory trading; | (ii) | the role of the trading venue in the financial system such as whether the financial instruments traded on it can be traded elsewhere. |
|---|---|---|---|---|---|
| (i) | types and regulatory status of the instruments traded on the venue such as whether the trading venue trades liquid instruments subject to mandatory trading; | ||||
| (ii) | the role of the trading venue in the financial system such as whether the financial instruments traded on it can be traded elsewhere. |
Table 2 in anx_1
| (i) | types and regulatory status of the instruments traded on the venue such as whether the trading venue trades liquid instruments subject to mandatory trading; |
|---|
Table 3 in anx_1
| (ii) | the role of the trading venue in the financial system such as whether the financial instruments traded on it can be traded elsewhere. |
|---|
Table 4 in anx_1
| (b) | Scale, in terms of potential impact of the trading venue on the fair and orderly functioning of the markets based on at least the following elements:(i)the number of algorithms operating on the venue;(ii)the messaging volume capacities of the venue;(iii)the volume of trading executed on the venue;(iv)the percentage of algorithmic trading over the total trading activity and the total turnover traded on the venue;(v)the percentage of high-frequency trading (HFT) activity over the total trading activity and the total amount traded on the venue;(vi)the number of its members and participants;(vii)the number of its members providing DEA including, where applicable, the specific number of its members providing for sponsored access and the conditions under which DEA is offered or can be delegated;(viii)the ratio of unexecuted orders to transactions as observed and determined pursuant to Commission Delegated Regulation (EU) 2017/566(1);(ix)the number and percentage of remote members;(x)the number of co-location or proximity hosting sites provided;(xi)the number of countries and regions in which the trading venue is undertaking business activity;(xii)the operating conditions for mechanisms to manage volatility and whether dynamic or static trading limits are used to trigger trading halts or rejection of orders. | (i) | the number of algorithms operating on the venue; | (ii) | the messaging volume capacities of the venue; | (iii) | the volume of trading executed on the venue; | (iv) | the percentage of algorithmic trading over the total trading activity and the total turnover traded on the venue; | (v) | the percentage of high-frequency trading (HFT) activity over the total trading activity and the total amount traded on the venue; | (vi) | the number of its members and participants; | (vii) | the number of its members providing DEA including, where applicable, the specific number of its members providing for sponsored access and the conditions under which DEA is offered or can be delegated; | (viii) | the ratio of unexecuted orders to transactions as observed and determined pursuant to Commission Delegated Regulation (EU) 2017/566(1); | (ix) | the number and percentage of remote members; | (x) | the number of co-location or proximity hosting sites provided; | (xi) | the number of countries and regions in which the trading venue is undertaking business activity; | (xii) | the operating conditions for mechanisms to manage volatility and whether dynamic or static trading limits are used to trigger trading halts or rejection of orders. |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| (i) | the number of algorithms operating on the venue; | ||||||||||||||||||||||||
| (ii) | the messaging volume capacities of the venue; | ||||||||||||||||||||||||
| (iii) | the volume of trading executed on the venue; | ||||||||||||||||||||||||
| (iv) | the percentage of algorithmic trading over the total trading activity and the total turnover traded on the venue; | ||||||||||||||||||||||||
| (v) | the percentage of high-frequency trading (HFT) activity over the total trading activity and the total amount traded on the venue; | ||||||||||||||||||||||||
| (vi) | the number of its members and participants; | ||||||||||||||||||||||||
| (vii) | the number of its members providing DEA including, where applicable, the specific number of its members providing for sponsored access and the conditions under which DEA is offered or can be delegated; | ||||||||||||||||||||||||
| (viii) | the ratio of unexecuted orders to transactions as observed and determined pursuant to Commission Delegated Regulation (EU) 2017/566(1); | ||||||||||||||||||||||||
| (ix) | the number and percentage of remote members; | ||||||||||||||||||||||||
| (x) | the number of co-location or proximity hosting sites provided; | ||||||||||||||||||||||||
| (xi) | the number of countries and regions in which the trading venue is undertaking business activity; | ||||||||||||||||||||||||
| (xii) | the operating conditions for mechanisms to manage volatility and whether dynamic or static trading limits are used to trigger trading halts or rejection of orders. |
Table 5 in anx_1
| (i) | the number of algorithms operating on the venue; |
|---|
Table 6 in anx_1
| (ii) | the messaging volume capacities of the venue; |
|---|
Table 7 in anx_1
| (iii) | the volume of trading executed on the venue; |
|---|
Table 8 in anx_1
| (iv) | the percentage of algorithmic trading over the total trading activity and the total turnover traded on the venue; |
|---|
Table 9 in anx_1
| (v) | the percentage of high-frequency trading (HFT) activity over the total trading activity and the total amount traded on the venue; |
|---|
Table 10 in anx_1
| (vi) | the number of its members and participants; |
|---|
Table 11 in anx_1
| (vii) | the number of its members providing DEA including, where applicable, the specific number of its members providing for sponsored access and the conditions under which DEA is offered or can be delegated; |
|---|
Table 12 in anx_1
| (viii) | the ratio of unexecuted orders to transactions as observed and determined pursuant to Commission Delegated Regulation (EU) 2017/566(1); |
|---|
Table 13 in anx_1
| (ix) | the number and percentage of remote members; |
|---|
Table 14 in anx_1
| (x) | the number of co-location or proximity hosting sites provided; |
|---|
Table 15 in anx_1
| (xi) | the number of countries and regions in which the trading venue is undertaking business activity; |
|---|
Table 16 in anx_1
| (xii) | the operating conditions for mechanisms to manage volatility and whether dynamic or static trading limits are used to trigger trading halts or rejection of orders. |
|---|
Table 17 in anx_1
| (c) | Complexity, in terms of:(i)the classes of financial instruments traded on the trading venue;(ii)the trading models available in the trading venue including the different trading models operating at the same time such as auction, continuous auction and hybrid systems;(iii)the use of pre-trade transparency waivers in combination with the trading models operated;(iv)the diversity of trading systems employed by the venue and the extent of the control by the trading venue over setting, adjusting, testing, and reviewing its trading systems;(v)the structure of the trading venue in terms of ownership and governance and its organisational, operational, technical, physical, and geographical set-up;(vi)the various locations of the connectivity and technology of the trading venue;(vii)the diversity of the physical trading infrastructure of the trading venue;(viii)the level of outsourcing of the trading venue and in particular where any operational functions have been outsourced;(ix)the frequency of changes to trading models, IT systems and membership of the trading venue. | (i) | the classes of financial instruments traded on the trading venue; | (ii) | the trading models available in the trading venue including the different trading models operating at the same time such as auction, continuous auction and hybrid systems; | (iii) | the use of pre-trade transparency waivers in combination with the trading models operated; | (iv) | the diversity of trading systems employed by the venue and the extent of the control by the trading venue over setting, adjusting, testing, and reviewing its trading systems; | (v) | the structure of the trading venue in terms of ownership and governance and its organisational, operational, technical, physical, and geographical set-up; | (vi) | the various locations of the connectivity and technology of the trading venue; | (vii) | the diversity of the physical trading infrastructure of the trading venue; | (viii) | the level of outsourcing of the trading venue and in particular where any operational functions have been outsourced; | (ix) | the frequency of changes to trading models, IT systems and membership of the trading venue. |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| (i) | the classes of financial instruments traded on the trading venue; | ||||||||||||||||||
| (ii) | the trading models available in the trading venue including the different trading models operating at the same time such as auction, continuous auction and hybrid systems; | ||||||||||||||||||
| (iii) | the use of pre-trade transparency waivers in combination with the trading models operated; | ||||||||||||||||||
| (iv) | the diversity of trading systems employed by the venue and the extent of the control by the trading venue over setting, adjusting, testing, and reviewing its trading systems; | ||||||||||||||||||
| (v) | the structure of the trading venue in terms of ownership and governance and its organisational, operational, technical, physical, and geographical set-up; | ||||||||||||||||||
| (vi) | the various locations of the connectivity and technology of the trading venue; | ||||||||||||||||||
| (vii) | the diversity of the physical trading infrastructure of the trading venue; | ||||||||||||||||||
| (viii) | the level of outsourcing of the trading venue and in particular where any operational functions have been outsourced; | ||||||||||||||||||
| (ix) | the frequency of changes to trading models, IT systems and membership of the trading venue. |
Table 18 in anx_1
| (i) | the classes of financial instruments traded on the trading venue; |
|---|
Table 19 in anx_1
| (ii) | the trading models available in the trading venue including the different trading models operating at the same time such as auction, continuous auction and hybrid systems; |
|---|
Table 20 in anx_1
| (iii) | the use of pre-trade transparency waivers in combination with the trading models operated; |
|---|
Table 21 in anx_1
| (iv) | the diversity of trading systems employed by the venue and the extent of the control by the trading venue over setting, adjusting, testing, and reviewing its trading systems; |
|---|
Table 22 in anx_1
| (v) | the structure of the trading venue in terms of ownership and governance and its organisational, operational, technical, physical, and geographical set-up; |
|---|
Table 23 in anx_1
| (vi) | the various locations of the connectivity and technology of the trading venue; |
|---|
Table 24 in anx_1
| (vii) | the diversity of the physical trading infrastructure of the trading venue; |
|---|
Table 25 in anx_1
| (viii) | the level of outsourcing of the trading venue and in particular where any operational functions have been outsourced; |
|---|
Table 26 in anx_1
| (ix) | the frequency of changes to trading models, IT systems and membership of the trading venue. |
|---|